For data \(\{(\boldsymbol{x}_i, y_i); i = 1, \ldots, N\}\) with \(\boldsymbol{x}_i \in \mathbb{R}^d\) and \(y_i \in \mathbb{R}\),
\[y_i = f(\boldsymbol{x}_i) + \varepsilon_i\]
We propose a underlying function,
\[f(\cdot) \sim\mathcal{MVN} \left( \mu(\boldsymbol{x};\boldsymbol\theta_\mu), k(\boldsymbol{x}, \boldsymbol{x'}; \boldsymbol{\theta}_k) \right)\]
where \(\mu(\cdot)\) is the mean function and \(k(\cdot)\) is the covariance kernel function, with hyperparameters \(\boldsymbol\theta_\mu\) and \(\boldsymbol\theta_k\), respectively.
If we were to take many realisations of a GP, the mean of these over the support would be the specified mean function.
For example, \(\mu(\boldsymbol{x}) = \boldsymbol{0}\), \(k(x, x') = \exp\{-\|x - x'\|^2\}\):
\[ \left[ {\begin{array}{c} \boldsymbol{y}\\ \boldsymbol{f^*}\\ \end{array} } \right] \sim \mathcal{N} \left(\left[ \begin{array}{c} \boldsymbol{\mu}\\ \boldsymbol{\mu^*} \\ \end{array} \right], \left[ \begin{array}{cc} k(\boldsymbol{x}, \boldsymbol{x}) + C& k(\boldsymbol{x}, \boldsymbol{x^*})\\ k(\boldsymbol{x^*}, \boldsymbol{x}) & k(\boldsymbol{x^*}, \boldsymbol{x^*}) \\\end{array}\right] \right) \]
where \(\boldsymbol{x}\) are observed points whose values are \(\boldsymbol{y}\), and \(\boldsymbol{x^*}\) are target points with predicted values \(\boldsymbol{f^*}\).
The reconstruction \(\boldsymbol{f^*}\) is dependent on the choice of \(\boldsymbol{\mu^*}\).
We actually want the reconstruction conditioned on observations, \(\boldsymbol{y}\).
\[\boldsymbol{f^*} | \boldsymbol{y} \sim \mathcal{MVN}(\boldsymbol{\bar{f^*}}, \mathrm{Cov}(\boldsymbol{f^*}))\]
Joint probabilities can be expressed as conditional probabilities:
\[P(A, B) = P(A|B) \times P(B)\]
\[P(A,B | C) = P(A|B,C) \times P(B|C)\]
Variables can be “integrated out”:
\[P(X) = \int_y P(X, Y = y) dy\]
Marginal likelihood of conditional distribution
\[p(\boldsymbol{y} | \boldsymbol{x}, \boldsymbol{\mu}, \boldsymbol{\theta}_k) = \int p(\boldsymbol{y}|\boldsymbol{f}, \boldsymbol{x}) \times p(\boldsymbol{f}|\boldsymbol{x}, \boldsymbol{\mu}, \boldsymbol{\theta}_k) \;d\boldsymbol{f}\]
Apply GP regression with
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